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Robust High-dimensional Volatility Matrix Estimation for High-Frequency Factor Model()
High-frequency financial data allow us to estimate large volatility matrices with relatively short time horizon. Many novel statistical methods have been introduced to address large volatility matrix estimation problems from a high-dimensional Itô process with microstructural noise contamination. Th...
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| Pubblicato in: | J Am Stat Assoc |
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| Autori principali: | , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
2018
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| Soggetti: | |
| Accesso online: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6430242/ https://ncbi.nlm.nih.gov/pubmed/30906083 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2017.1340888 |
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